-
作者：Griffin, John M.; Hirschey, Nicholas H.; Kelly, Patrick J.
作者单位：University of Texas System; University of Texas Austin; State University System of Florida; University of South Florida; New Economic School
摘要：This article studies differences in the information content of 870,000 news announcements in 56 markets around the world. In most developed markets, a firm's stock price moves much more on days with public news about the firm. In contrast, in many emerging markets volatility is similar on news and non-news days. We examine several hypotheses for our findings. Cross-country differences in stock price reactions are best explained by insider trading, followed by differences in the quality of the ...
-
作者：Grenadier, Steven R.; Malenko, Andrey
作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We study games in which the decision to exercise an option is a signal of private information to outsiders, whose beliefs affect the utility of the decision-maker. Signaling incentives distort the timing of exercise, and the direction of distortion depends on whether the decision-maker's utility increases or decreases in outsiders' belief about the payoff from exercise. In the former case, signaling incentives erode the value of the option to wait and speed up option exercise, while in the lat...
-
作者：Bekaert, Geert; Harvey, Campbell R.; Lundblad, Christian T.; Siegel, Stephan
作者单位：National Bureau of Economic Research; Duke University; Columbia University; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of Washington; University of Washington Seattle
摘要：We propose a new, valuation-based measure of world equity market segmentation. While we observe decreased levels of segmentation in many countries, the level of segmentation remains significant in emerging markets. We characterize the factors that account for variation in market segmentation both through time as well as across countries. Both a country's regulation with respect to foreign capital flows and certain nonregulatory factors are important. In particular, we identify a country's poli...
-
作者：Hau, Harald
作者单位：University of Geneva; University of Geneva
摘要：Should capital cost calculations be based on a global or local market benchmark? The December 2000 redefinition of the Morgan Stanley Capital International (MSCI) global equity index was a natural experiment addressing this question. It is argued that this event triggered a portfolio shift (by index funds) large enough to affect the residual asset supplies constituting the global and local market benchmarks of all actively managed capital. Changes in the market benchmarks imply distinct and pr...
